| Summary: | The emergence of the Chinese equity markets provides new
opportunities for investors to participate in the economic boom in China.
These markets exhibit high expected returns as well as high volatility. This
research examines the daily return behaviour of the four China share
indices: the Shanghai A-share Index, the Shanghai B-share Index, the
Shenzhen A-share Index, and the Shenzhen B-share Index.
By using daily data of these share indices from March 1993 to December
1994, the results show that weak form efficiency does not exist in the Bshare
markets. Segmentation is found between the two B-share markets
but not the A-share markets. This gives evidence that macro-economic
factors of China affect the two A-share markets concurrently.
There is evidence that the returns of the A-share indices lead the returns
of the B-share indices. As for the two A-share markets, it is found that the
Shenzhen A-share returns lead the Shanghai A-share returns but not vice
versa. Both the B-share returns are shown to have bi-directional lead-lag
relationship.
This research further extends the analysis between the B-share indices
with the Standard and Poor's 500 Index and the Hang Seng Index. No
correlation exis ts between the China markets and the two foreign markets. It is found that the returns of the foreign markets do not lead the
B-share markets.
|
|---|